Productivity in the Spanish regions during the recent economic cycles

The Spanish regions are facing a severe recession caused by the international financial crisis that has overlapped with the correction that had been recorded in the property market, which has led to a sharp drop in economic activity and a rapid destruction process employment. In these circumstances it is a priority to begin a new growth path based on a more productive and sustainable pattern, which enhances competitive sectors and contribute to the creation and consolidation of employment. This paper has attempted to shed light on what branches of production can be the basis for a new production model of the Spanish economy to overcome the weaknesses in the present, making special emphasis in services To this end, the behavior of productivity during expansions will be analyzed for twenty production branches by applying the methodology proposed by Leamer (2007), based on the decomposition of contributions to the growth of the productivity of each of these branches in 'normal' and 'outstanding'. The results will identify production branches that have contributed to the weakening of productivity during recessions as well as those that have created an important stimulus to productivity during expansions.

On the Credibility of the Irish Pound in the EMS

This paper assesses the degree of credibility of the Irish Pound in the European Monetary System between 1983 and 1997. Different credibility indicators proposed in the literature are used to measure agents’ perceptions of the credibility of the ERM commitment in an attempt to distinguish between events stemming from problems in the ERM itself and those that appear to have been exclusive to Ireland.

The economic effects of fiscal policy: Further evidence for Spain

Previous research considered the impacts of fiscal policy on economic activity in Spain using Vector autoregression (VAR) models. In this paper, we contribute to the existing literature by making use of autoregressive distributed lag estimation procedures that present significant advantages over the VAR alternative. Our econometric methodology is data-driven, and it allows us to select the statistical model that best approximates the relationship between the variables under study and to assess short- and long-run symmetric and asymmetric effects of fiscal policy on output performance. Using quarterly time-series data for Spain covering the period 1980Q1-2020Q4, we offer quantitative estimates of these effects both for aggregated and disaggregated public expenditures and net revenues. These results would be helpful for policymakers in the design of a well-informed macroeconomic and public debt management strategy

Financial market analogies of the COVID-19 pandemic: evidence from the Dow Jones Industrial Average Index

This paper tries to shed light on the historical analogies of the ongoing COVID-19 pandemic. To that end, we compare the sample distribution of Dow Jones Industrial Average Index returns for a 420-day period (from 2 January 2020 to 31 August 2021), with all historical sample distributions of returns computed using a moving window of 420 days in the 2 January 1900 to 1 May 2018 period. We find that the stock market return distribution during the pandemic would be similar to several past sub-periods of severe financial crises that evolved into intense recessions, being the sub-sample from 3 June 1986 to 28 January 1988 the most analogous episode to the present situation. Furthermore, we also identify a period from 23 June 1931 to 24 February 1933 where the severity of the crisis overcomes the pandemic situation having sharper tail vents. Finally, we find that the current stock market CVaR risk is not higher than that observed during the 1930s

Searching for informed traders in stock markets: The case of Banco Popular

In this paper, we use several indicators of trade informativeness to search for informed traders on the final trading days of Banco Popular, the first and only bank resolution case to date in the euro area. In particular, we use the model proposed by Preve and Tse (2013) to estimate the adjusted daily probability of informed trading and the probability of symmetric order-flow shock using high-frequency transaction data. Our empirical results indicate that upon the anticipation of a possible liquidation of the bank, informed investors reacted to the bad news by placing more weight on it and that Banco Popular experienced large increases in both buy- and sell-orders during the last days of trading when the bank registered a significant depletion of its deposit base. Moreover, we find evidence supporting the presence of inside trading and illiquidity, especially after speculation in the media that the bank could face a liquidation. Our study has important implications for market participants and regulatory authorities

Time connectedness of fear

This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period January 3, 2011-May 4, 2018. To this end, we first perform a static analysis to measure the total volatility connectedness in the entire period using a framework proposed by Diebold and Yilmaz (2014). Second, we apply a dynamic analysis to evaluate both the net directional connectedness for each market using the TVP-VAR connectedness approach developed by Antonakakis and Gabauer (2017). Our results suggest that a 72.27%, of the total variance of the forecast errors is explained by shocks across the examined investor time horizons, indicating that the remainder 27.73% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. Finally, we also document a superior performance of the TVP-VAR approach to connectedness respect to the original one proposed by Diebold and Yilmaz (2014